Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0285
Annualized Std Dev 0.2766
Annualized Sharpe (Rf=0%) -0.1029

Row

Daily Return Statistics

Close
Observations 3456.0000
NAs 1.0000
Minimum -0.2129
Quartile 1 -0.0055
Median 0.0011
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0070
Maximum 0.2527
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0174
Skewness -1.0536
Kurtosis 34.7956

Downside Risk

Close
Semi Deviation 0.0133
Gain Deviation 0.0121
Loss Deviation 0.0166
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0133
Downside Deviation (0%) 0.0133
Maximum Drawdown 0.7296
Historical VaR (95%) -0.0240
Historical ES (95%) -0.0445
Modified VaR (95%) -0.0212
Modified ES (95%) -0.0212
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 NA -0.7296 3446 416 NA
2007-06-28 2007-07-06 2007-07-13 -0.0007 11 6 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA 0 -0.3 -0.2 0.9 -0.7 2.2 0.2 2.1
2008 2.2 -3.1 3.3 1 0.2 0.6 0.9 0.3 2.5 5.5 -11.6 3.4 4.2
2009 -0.7 -1.8 0.7 2.2 -0.6 1.4 0.7 -3.2 -1.9 -4.6 1.7 -0.4 -6.3
2010 1.5 0.8 0.7 -0.2 -1.8 -0.9 -0.3 1.8 0.2 0 2 0.8 4.7
2011 1.1 -0.2 0.6 0 -1.7 1.4 0 0.5 -3.8 -3 -0.1 1.5 -3.9
2012 2.1 0.1 1.6 0.7 -3 1.7 1.6 0.5 0.7 1.5 -0.4 1 8.3
2013 0.4 -0.8 0.1 -0.3 -1.9 1 0.5 0 0.8 -0.3 0.3 0.2 0
2014 -0.2 0.3 1.7 0.3 0.2 0.3 -1.8 0 -1.1 0.4 -0.7 3 2.5
2015 -1.9 0.6 0.1 0.2 0 1.6 0 -2.5 -0.3 1.7 0.7 -0.4 -0.3
2016 0.9 2.5 -1 0 0.3 0.4 -0.3 0 1.3 -0.6 -1.3 -0.4 1.9
2017 0 0.4 0.1 -0.4 0.2 0.9 -0.2 1.1 0.8 0.2 -0.1 -0.1 3
2018 -0.9 -1.3 0.8 0.7 1 0.7 0 -0.3 0.4 2.5 1.5 1.4 6.5
2019 -0.6 0.3 0 0.1 -1.3 0.7 -0.7 -0.8 -0.4 0.9 0.1 1.3 -0.5
2020 -0.6 -2.8 -6.6 -2.5 1 0.5 -0.8 -0.9 -0.6 -1.8 0.5 -0.7 -14.4
2021 1.5 2.4 0.6 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-06-27  15.0 SPY    150.  1.42e-2  -0.0049  -0.0121   0.0605    0.203    0.321    0.542 GLD    63.7  0.0008   -0.0161
2 2007-06-28  15   SPY    150. -1.00e-4  -0.0105  -0.0202   0.0592    0.214    0.326    0.539 GLD    64.3  0.00930  -0.0046
3 2007-06-29  15   SPY    150.  3.00e-4  -0.0008  -0.0188   0.0594    0.206    0.320    0.513 GLD    64.3  0.0002   -0.0079
4 2007-07-02  15.0 SPY    152.  9.00e-3   0.0131  -0.0149   0.0677    0.193    0.325    0.534 GLD    65.0  0.0117    0.0092
5 2007-07-03  15.0 SPY    152.  3.60e-3   0.0273  -0.0114   0.0602    0.197    0.349    0.570 GLD    64.7 -0.0043    0.0176
6 2007-07-05  15.0 SPY    152. -1.10e-3   0.0118  -0.0085   0.0579    0.191    0.348    0.602 GLD    64.4 -0.0049    0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart